Top Best Econometrics Books – Economics is a stand-alone subject. But until you learn the mathematical & statistical parts which are deeply ingrained with the subject, you wouldn’t be able to use the concepts well. And there lies the importance of econometrics.

Here, we have pulled together a list of top 10 books which will help you learn the fundamentals of econometrics well.

#1 – Mostly Harmless Econometrics: An Empiricist’s Companion

by Joshua D. Angrist and Jorn-Steffen Pischke

This is the ultimate Econometrics book for someone who would like to become a practitioner of econometrics.

Econometrics TextBook Review

This Top Econometrics book will teach you how econometrics is useful in real life. It is not all theory and you wouldn’t find much for researchers. But yes, if you want to practice it in real life, this guide would seem invaluable to you. If we go in specifics about this book, we will see that the authors have mastered regression analysis. So, if you’re about to do regression analyses; stop everything, put off everything, and read this book first. This Econometrics book is a go-to resource for regression analyses. If we look at from this perspective, we can say that this book is not entirely an econometrics book; but can be a great supplement to any other Econometrics textbook. However, as an economist, this book is a must read. Even if you’re in your Ph.D. and trying to decipher complex, most difficult problems of economics, this book will be of great assistance to you. This book is mainly written for people who are directly involved with the core subject; but if you’re interested, you can use it for understanding regression analyses as well. And from students to instructors, everyone would benefit from this book.

Key Takeaways from this Best Econometrics Books

This Best Econometrics book covers topics like quantile regression, regression-discontinuity designs, and standard errors. That means you will get the tools most applied researchers use in real world.

Plus, you will also get to learn about a lot of empirical examples nobody talks about.

#2 – Using Econometrics: A Practical Guide

by A.H. Studenmund

This Econometrics book is simple, straight forward, and easy to understand guide to econometrics.

Econometrics TextBook Review

If you’re a student and have no idea about econometrics, this best Econometrics book can be a great guide to read through. You may not need to know everything; but if you just read few chapters of this book and understand the introductory part of regression analysis, you will be pretty good to go. Econometrics is not a subject for the faint-hearted. But that doesn’t mean, the subject can’t be explained in easy-to-understand manner. This Econometrics book is the proof that econometrics can be beautifully explained without the need of excess words or additional phrases. This book is written particularly for those who would like to understand the fundamentals of econometrics. So, if you’re looking for a book on econometrics for your Ph.D. studies; this book won’t make the cut. But yes, you can easily start with this book, understand regression analyses well, and then move on to a more dense and intense book on econometrics. You will not only get easy explanations of each topic; you will also be able to relate your understanding with stunning visuals used in this book. In a nutshell, this is a perfect guide to start your econometrics journey.

#3 – Introductory Econometrics: A Modern Approach

by Jeffery M. Wooldridge

This guide will make learning fun and easy.

Econometrics Book Review

If you’re looking for an Econometrics book which will help you in your class, your search ends here. This is a perfect guide for you if you’re just starting out in econometrics as the title of the book already suggests. Moreover, if you buy this best Econometrics book, you don’t need to take help from instructors or teachers. You can learn on your own and pass the exam. Now, if you’re new to economics, this book may not add any value. It’s only valuable for those who are working on applied econometrics or thinking of the same. You will not find any similarity of traditional textbooks. No, this book is different. It will teach you how econometrics can go beyond ambiguity and can really give answers to some most pressing questions. In this guide, you will learn how to present data in six formats – R, Stata, Microsoft Excel, Minitab, EViews, and Text. You will also learn the relevancy of econometrics in real life and how to apply actual practices and challenges in today’s business world.

Key Takeaways from this Best Econometrics Books

Along with this Econometrics book, you will receive MindTap technology which will help you master the subject with interactive videos, materials, and animation videos.

This top Econometrics textbook is quite comprehensive, even if it’s a guide for beginners (more than 780 pages of materials). It is one of the best textbooks students are using for passing their econometrics exam.

#4 – Introduction to Econometrics, (Pearson Series in Economics)

by James H. Stock and Mark W. Watson

This is another great textbook on econometrics.

Econometrics Book Review

If you want to read a quality textbook on econometrics, this book will serve the purpose. However, this Econometrics book has received mixed reviews. It is partly because the book isn’t written for everyone – if you don’t have a statistical background, it wouldn’t be a good match (but if you don’t have anything to do with statistics, why study econometrics anyway). This book is written for those who have successfully understood the conceptual part of economics and now are ready to plunge in understanding econometrics. So, before you start reading this book, pick up a textbook on statistics (if you’re complete novice) and learn the fundamentals; and then start with this book. The book is very dense and often tough to understand for students who are complete beginners. Hence, don’t go by the name of the book. It’s not really introductory and reading an easy book on econometrics before reading this book will be really helpful and if you do that, you will be able to appreciate the content of this book as well.

Key Takeaways from this Top Econometrics Books

Along with this best Econometrics book, you can buy MyEconLab which is highly recommended because MyEconLab will make your learning structured, methodical, and easy.

This book on Econometrics will keep up with the classes, discuss the current trends of econometrics, and also offer full array of pedagogical features. Moreover, the focus of the book is application and the authors clarified that theory should follow application, not the other way around.

#5 – Econometric Analysis of Cross Section and Panel Data (MIT Press)

by Jeffrey M Wooldridge

This is another book on econometric written by Mr. Wooldridge.

Econometrics TextBook Review

This book is not an introductory textbook on econometrics. Many reviewers have mentioned otherwise, but truly this book is way too hard to be considered as an introductory textbook. It is mentioned that this book can be used at the graduate level, but it can’t be used at that level because of its complexity. You surely need to read an introductory textbook before ever trying to read this book. The reviewers have mentioned that this book is perfect for people who are doing Ph.D. and currently at the second/third year of their study. But that doesn’t mean this book isn’t good. It’s amazing source for people who really want to learn two methods – cross section and panel data. The best use of this book is as a reference book an econometrics textbook. Along with reading a textbook, you can read this book and understand “why things work in a certain way”. The only pitfall of this book is that this book doesn’t have any graphs. But if you can read the book thoroughly, you won’t be feeling the need of using graphs.

Key Takeaways from this Best Econometrics Book

This best Econometrics book focuses on more detailed treatment of cluster problems and also pays enough attention to generalized instrumental variables. It also covers inverse probability weighting and provides a complete framework for panel data.

This book is the first of its kind to concentrate on microeconomic data structures. Thus, every econometric student must read this book.

#6 – Microeconometrics Using Stata

by A. Colin Cameron and Pravin K. Trivedi

This is a textbook on Econometrics which specifically teaches you one of the branches of econometrics – microeconometrics.

Econometrics Books Review

If you think that you have read through a lot of textbooks on econometrics (think of Wooldridge’s textbooks) and stata manuals; but aren’t able to bridge the gap, this book will successfully do the bridging for you. It’s a terrific book and everybody who is interested in econometrics should read this book. The authors are experts on stata manuals and provide details on not only stata commands but also offers the contexts of those commands or tests. According to the reviewers, the authors have given great examples to illustrate their points. For example, in modeling heteroscedastic data, the authors two separate ways to deal with heteroskedasticity – robust standard errors and FGLS. If you’ve interest in econometrics, this book will certainly add value to your knowledge base. This book is beneficial for students who are graduating in econometrics and also for those who have already completed their Ph.D. If you’re an instructor, you can also use this book as a guide for teaching stata to your students.

Key Takeaways from this Top Econometrics Books

This is the best stata book you will ever find. Not only the reviewers have mentioned the magnificence of this book, but students at all levels highly recommend it.

This latest edition of this best Econometrics book includes the new features available in Stata 11 which aren’t available anywhere.

The book is also quite comprehensive (over 700 pages) and covers everything you need to know about microeconometrics.

#7 – Econometric Analysis

by William H. Greene

This is a great book on econometrics. Here’s why.

Econometrics TextBook Review

Many students don’t always get the time to be guided by their professors. In that case, there is only one option left. And that is to study all by you. If this is your situation, you should pick this book up and read through. Many readers have mentioned that this book has been instrumental in helping them learn the regression model so very well that they got the confidence to sit for the exam and pass with a good score. Even people who have earned their Ph.D. in econometrics are recommending this particular book. Ask any expert on this subject and she will tell you that you should read a textbook of either Greene or Wooldridge. It is a great textbook on econometrics and written from the perspective of helping any student who would take the time to read it. However, you will not find everything in this book. This book doesn’t talk about multivariate analysis, non parametrics, and topic like the experimental design. It’s a basic, comprehensive textbook which covers the fundamental concepts of econometrics. But still, be careful while reading it; because maybe you may find it tougher than the normal textbooks on econometrics. So it’s always better if you can have a handy, easy-to-read textbook with you along this one.

Key Takeaways from this Best Econometrics Books

This Best Econometrics book is filled with useful examples. That means you don’t need to read the dry text; you would be having plenty of opportunities to relate to and apply whatever theory you read.

Once you buy the book, you can go to prenhall.com/greene and can download LIMDEP software and data sets.

#8 – A Guide to Econometrics

by Peter Kennedy

This is an essential reference book for every econometric class.

Econometrics Book Review

No. It shouldn’t be used as a textbook on Econometrics. But it is definitely a great supplementary when you have a textbook handy. Imagine that you have a personal tutor sitting with you all day and teaching you the nitty-gritty of econometrics. This book is of so superior quality that you would feel like that often. Many econometrics textbooks talk about general theories and expect you to understand specific models. But this book is different. Here the author skips talking about general theories and goes on specific in plain English. This approach is far more superior because many of the students when they start studying econometrics for the first time have no clue about the subject. Many readers go far away and recommend that you skip Greene and Wooldridge and read this book first before econometrics become one of your pain points. In this book, the author also makes sure that the students understand the equations and language of theory, so that they don’t need to go for rote memorization. Moreover, there is no jargons, extra words, additional phrases. Kennedy does a far better job than other authors of econometrics.

Key Takeaways from this Top Econometrics Books

This book on Econometrics is very easy to read and along with that, you will get newest materials on instrumental variables and computational considerations.

This book includes a lot of examples and is filled with useful formulas. Plus, you will get to understand GMM, nonparametric, and wavelets.

#9 – Basic Econometrics (Irwin Economics)

by Damodar Gujarati and Dawn Porter

This is the first book on Econometrics you should start your course with.

Econometrics Book Review

This is one of the best books on econometrics at the elementary level. If you are a novice and don’t know much about econometrics, this is the book you should read. We have mixed and mingled all the textbooks and supplementary materials so that you can pick what you feel are best for you. This book doesn’t include advanced algebra, statistics, and calculus. Rather you will only find concepts, theories, and examples to understand the subject well. The purpose behind writing this book is this book gives a great introduction on why statistics should be thoroughly understood in econometrics and its usefulness. Many students who have previously taken econometrics as their subject at undergraduate level have mentioned that this book offers a lot more than students seem to feel about this book. The language is lucid, the examples are various, and the coverage is rigorous. What else would you want from your textbook? The answer is not much. If you read this book, your fundamentals on econometrics will be clear and you can then build upon your knowledge.

Key Takeaways from this Best Econometrics Books

Do you know how comprehensive this book is? Around 950 pages. You can imagine how much this book covers without going into the advanced materials!

This top Econometrics book is completely updated. With 100 new data sets and loads of new research and examples, this book stands out in the crowd. If you read one book to understand econometrics, this is the book you should pick.

#10 – Econometrics for Dummies

by Roberto Pedace

Yes, it is a dummies book and it covers a lot more beginners.

Econometrics TextBook Review

Econometrics is not a subject for dummies. So it’s pretty hard to write such book which a layman can understand. And guess what? This book has been written so masterfully that you would wonder – is it really for dummies or am I getting smarter? The balancing act of thinking from the perspectives of novices and at the same time putting across the theories and examples of econometrics is a very tough thing to do. Moreover, the author didn’t limit the materials to only theories and beginners’ maths and stats; he also used derivatives and statistics (classical violations, ordinary least squares etc.) to present his ideas. This book is useful for those who have Ph.D. and master degrees in econometrics. Students who are just starting out with econometrics can definitely read this book to understand the fundamentals, but a reference guide to this book would be pretty handy. If you’re panicking and don’t know where to begin your study, pick this book up and read the chapters one by one! This book would be beneficial for students, instructors, and would be professors who need a refresher to become confident about their knowledge base.

Key Takeaways from this Top Econometrics Books

From figures to examples, from stata model to statistical analysis, you will find everything in this book. You will also be able to understand basic economics and econometrics analysis.

You will also learn the characteristics of the classical linear regression model, pain-points while solving regression analysis, and common mistakes to avoid in applied econometrics.

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